Browsing Department of Economics by Author "Hansen, Christian"
Now showing items 1-3 of 3
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Inference on Treatment Effects after Selection amongst High-Dimensional Controls
(Cambridge, MA: Department of Economics, Massachusetts Institute of Technology, 2012-05-03)We propose robust methods for inference on the effect of a treatment variable on a scalar outcome in the presence of very many controls. Our setting is a partially linear model with possibly non-Gaussian and heteroscedastic ... -
Lasso Methods for Gaussian Instrumental Variables Models
(Cambridge, MA: Department of Economics, Massachusetts Institute of Technology, 2011-02-25)In this note, we propose the use of sparse methods (e.g., LASSO, Post-LASSO, p LASSO, and Post-p LASSO) to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with ... -
Sparse Models and Methods for Optimal Instruments with an Application to Eminent Domain
(Cambridge, MA: Department of Economics, Massachusetts Institute of Technology, 2011-07-12)We develop results for the use of LASSO and Post-LASSO methods to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with many instruments, p, that apply even when p ...
